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Fibonacci Auto Trend Scouter Strategy

This strategy uses two rolling extremes based on Fibonacci numbers to scout emerging trends. The short window (8) tracks recent highs and lows while the long window (21) provides context. A long position is opened when the short-term high exceeds the long-term high. A short position opens when the short-term low falls below the long-term low.

Details

  • Entry Criteria:
    • Long: short-term high > long-term high.
    • Short: short-term low < long-term low.
  • Long/Short: Both.
  • Exit Criteria:
    • Position is reversed on opposite signal.
  • Stops: No.
  • Default Values:
    • Short period = 8
    • Long period = 21
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Multiple
    • Stops: No
    • Complexity: Simple
    • Timeframe: Medium-term
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Trend detection using Fibonacci period moving averages.
/// </summary>
public class FibonacciAutoTrendScouterStrategy : Strategy
{
	private readonly StrategyParam<int> _smallPeriod;
	private readonly StrategyParam<int> _mediumPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevSmall;
	private decimal _prevMedium;
	private bool _isReady;

	public int SmallPeriod { get => _smallPeriod.Value; set => _smallPeriod.Value = value; }
	public int MediumPeriod { get => _mediumPeriod.Value; set => _mediumPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FibonacciAutoTrendScouterStrategy()
	{
		_smallPeriod = Param(nameof(SmallPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Small Period", "Small EMA period", "General");
		_mediumPeriod = Param(nameof(MediumPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Medium Period", "Medium EMA period", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevSmall = 0;
		_prevMedium = 0;
		_isReady = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var emaSmall = new ExponentialMovingAverage { Length = SmallPeriod };
		var emaMedium = new ExponentialMovingAverage { Length = MediumPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(emaSmall, emaMedium, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, emaSmall);
			DrawIndicator(area, emaMedium);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal small, decimal medium)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_isReady)
		{
			_prevSmall = small;
			_prevMedium = medium;
			_isReady = true;
			return;
		}

		// Crossover detection
		var crossUp = _prevSmall <= _prevMedium && small > medium;
		var crossDown = _prevSmall >= _prevMedium && small < medium;

		if (crossUp && Position <= 0)
			BuyMarket();
		else if (crossDown && Position >= 0)
			SellMarket();

		_prevSmall = small;
		_prevMedium = medium;
	}
}